Publicacions científiques, Àrea de Determinants de la Salut – Comportaments i hàbits de vida: tabac, 2015-

In this section, I analyze the correlation structure of the CDS returns of the eight largest indus-

tries in the data set15. The resulting 167 issuers are detailed in Table IV. They are grouped by

four-digit GICS industry and I report each issuers’ Datastream Identifier (DI) and historical index assignments.

Their distribution across industries is: Energy (22), Materials (30), Capital Goods (22), Retail- ing (16), Health Care Equipment & Services (19), Diversified Financials (13), Insurance (18) and Utilities (27). I again implement the complete linkage algorithm and validation algorithm detailed in Section V of Chapter 2. The CDS return correlation matrix over the full period of the data. To reiterate, this algorithm was choose based on two defining characteristics. Firstly, issuers within a cluster are all more correlated than the least two correlated issuers. This suggests that clustered issuers co-move predominantly with each other. Secondly, it makes clusters distinctive because it minimizes local correlations following each merger.

15_{The Food, Beverage & Tobacco (GICS: 3020) and Consumer Durables & Apparel (2520) industry-groups are}

larger than the smallest two industry-groups I consider. However I exclude them because, as shown in Chapter 2, these particular Consumer Sector industry-groups cluster poorly.

Table 3.4: The 167 correlation cluster analysis issuers, distributed across eight GICS industry-groups. (DI) is Datastream Identifier. (Index) denotes historical index assignments as either IG, HY, IG/HY of NI if they have been in a series of either the CDX.IG, the CDX.HY, both, or not-indexed in either, respectively.

Industry Group GICS Code DI Issuer Name Index Energy (22) 1010 APC Anadarko Petroleum Corp. IG

APA Apache Corp. NI BHI Baker Hughes Inc. NI CHK Chesapeake Energy Corp. HY CVX Chevrontexaco Cap. Co. NI COP Conocophillips IG DVN Devon Energy Corp. IG DO Diamond Offshore Drilling. NI EP El Paso Corp. HY XOM Exxon Mobil Corp. NI HAL Halliburton Co. IG MRO Marathon Oil Corp. NI NBR Nabors Industries Inc. NI OXY Occidental Petroleum Corp. NI PDE Pride International Inc. HY SUN Sunoco Inc. NI TSO Tesoro Corp. HY RIG Transocean Inc. IG VLO Valero Energy Corp. IG WFT Weatherford Intl. Inc. NI WMB Williams Cos Inc. HY XTO XTO Energy Inc. IG

Materials (30) 1510 APD Air Products & Chems Inc. NI AKS AK Steel Corp. HY AA Alcoa Inc. IG ASH Ashland Inc. NI CCC Comcast Cable Comms LLC. IG CMC Commercial Metals Co. NI CYT Cytec Industries Inc. NI DTC Domtar Inc. HY DD Du Pont E.I. De Nemours IG EMN Eastman Chemical Co. IG GP Georgia-Pacific Gp. HY IP International Paper Co. IG LPX Louisiana-Pacific Corp. HY LZ Lubrizol Corp. NI MLM Martin Marietta Mats Inc. NI MWV Meadwestvaco Corp. IG MTC Monsanto Co. NI NEM Newmont Mining Corp. NI NUE Nucor Corp. NI OLN Olin Corp. IG OI Owens-Illinois Inc. HY PD Phelps Dodge Corp. NI PPG PPG Industries Inc. NI PX Praxair Inc. NI ROH Rohm & Haas Co. IG RPM RPM International Inc. NI SEE Sealed Air Corp. NI SHW Sherwin-Williams Co. IG TIN Temple-Inland Inc. IG/HY VMC Vulcan Materials NI

Industry Group GICS Code DI Issuer Name Index Capital Goods (22) 2010 MMM 3M Company NI

ARN Arvinmeritor Inc. HY BNG Boeing Co. NI CAT Caterpillar Inc. IG CMI Cummins Inc. HY DHR Danaher Corp. NI DE Deere & Co. IG DOV Dover Corp. NI ETN Eaton Corp. NI EMR Emerson Electric Co. NI GMT GATX Financial Corp. IG GD General Dynamics Corp. NI GR Goodrich Corp. IG HON Honeywell Intl. Inc. IG ITW Illinois Tool Works Inc. NI LMT Lockheed Martin Corp. IG NAV Navistar Intl. Corp. HY NOC Northrop Grumman Corp. IG RTN Raytheon Co. IG TXT Textron Inc. NI URI United Rentals Inc. HY UTX United Technologies Corp. NI

Retailing (16) 2550 AZO Autozone Inc. IG GPS Gap Inc. IG HD Home Depot Inc. IG JCP JC Penney Co. IG/HY KSS Kohls Corp. IG LWE Lowes Companies Inc. IG LTD LTD Brands IG/HY FD Macys Inc. IG/HY NMGA Neiman-Marcus Group Inc. HY JWN Nordstrom Inc. IG ODP Office Depot Inc. NI RSH Radioshack Corp. IG/HY SKS Saks Inc. HY SPLS Staples Inc. IG TGT Target Corp. IG TJX TJX Companies Inc. IG

Health Care (19) 3510 AET Aetna Inc. IG ABC Amerisourcebergen Corp. HY BOL Bausch & Lomb Inc. NI BAX Baxter International Inc. IG BSX Boston Scien. Corp. IG CAH Cardinal Health Inc. IG CI Cigna Corp. IG HCA HCA Inc. HY HMA Health Man.Assocs. Inc. NI HUM Humana Inc. NI HCR Manor Care Inc. NI MCK Mckesson Corp. IG MHS Medco Health Sltn. Inc. NI MDT Medtronic Inc. NI QST Quest Diagnostics IG THC Tenet Healthcare Corp. HY UNH Unitedhealth Group Inc. IG UHS Universal Health Svs Inc. IG WLP Wellpoint Inc. NI

Industry Group GICS Code DI Issuer Name Index Diversified Fins. (13) 4020 AXP American Express Co. IG

BAC Bank Of America Corp. NI COFC Capital One Finl. Corp. NI C Citigroup Inc. NI GEC General Elec. Capital Corp. IG GMAC GMAC LLC IG/HY GS Goldman Sachs Gp Inc. NI HHFC HSBC Finance Corp. NI INTL Intl. Lease Fin.Corp. IG/HY JPM JP Morgan Chase & Co. NI MER Merrill Lynch & Co. Inc. NI MWD Morgan Stanley Gp. Inc. NI SLM SLM Corp. IG

Insurance (18) 4030 ACE ACE Ltd. IG

ALL Allstate Corp. IG ABK Ambac Financial Gp. Inc. NI AIG American Intl. Group. IG AOC AON Corp. NI BRKA Berkshire Hath. Inc. NI CB Chubb Corp. IG CNA CNA Financial Corp. NI HIG Hartford Finl. Svs. Gp. IG LBMI Liberty Mutual Ins. NI LNC Lincoln National Corp. NI LTR Loews Corp. IG MMC Marsh & Mclennan Cos. Inc. IG MBI MBIA Inc. HY MET Metlife Inc. IG SPC Travellers Cos. Inc. NI UNM Unum Group. HY XL XL Capital Ltd. IG

Utilities (27) 5510 AES AES Corp. HY

AYE Allegheny En. Supp. Co. LLC. HY AEP American Elec. Pwr. Co. Inc. IG CNPRC Centerpoint En. Res. Corp. NI CNP Centerpoint Energy Inc. NI CMS CMS Energy Corp. HY ED Consolidated Edison Inc. NI CEG Constellation En. Gp. Inc IG D Dominion Resources Inc. IG DPL DPL Inc. NI DTE DTE Energy Company NI DUK Duke Enrgy Carolinas IG DYN Dynegy Inc. HY ETR Entergy Corp. NI EXC Exelon Corp. NI EXG Exelon Generation Co. LLC. NI FE Firstenergy Corp. IG OKE Oneok Inc. NI POM Pepco Holdings Inc. NI PGN Progress Energy Inc. IG PSEP Pseg Power LLC NI SRE Sempra Energy IG SOCE Southern Cali. Edison Co. NI TE Teco Energy Inc. NI TXUE TXU Energy Co. LLC NI WEC Wisconsin Energy Corp. NI XEL XCEL Energy Inc. NI